Extreme Value Distributions
Just as normal and stable distributions are natural limit distributions when considering linear combinations such as means of independent variables, extreme value distributions are natural limit distributions when considering min and max operations of independent variables. They naturally occur in contexts such as reliability and risk where one often needs to consider the smallest or largest extremes of some quantity.
Generalized Extreme Value Distributions
MaxStableDistribution — generalized maximum extreme value distribution
MinStableDistribution — generalized minimum extreme value distribution
Specialized Extreme Value Distributions
GumbelDistribution — type I min extreme value distribution
ExtremeValueDistribution — type I max extreme value distribution
FrechetDistribution — type II max extreme value distribution
WeibullDistribution — type III min extreme value distribution
Order Statistics Distributions
OrderDistribution — distribution for
smallest value
TransformedDistribution — distribution for function of values
